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Analysis of the incurred but not reported/infinite server queue process with semi-Markovian multivariate discounted inputs. (arXiv:1810.06893v1 [math.PR])
来源于:arXiv
We consider a general k dimensional discounted innite server queues process
(alternatively, an Incurred But Not Reported (IBNR) claim process) where the
multi-variate inputs (claims) are given by a k dimensional nite state Markov
chain and the arrivals follow a renewal process. After deriving a
multidimensional integral equation for the moment generating function jointly
to the state of the input at time t given the initial state of the input at
time 0, asymptotic results for the rst and second (matrix) moments of the
process are provided. In particular, when the interarrival or service times are
exponentially distributed, transient expressions for the rst two moments are
obtained. Also, the moment generating function for the process with
deterministic interarrival times is considered to provide more explicit
expressions. Finally, we demonstrate the potential of the present model by
showing how it allows us to study a semi-Markov modulated innite queues process
where the customers (cla 查看全文>>